Risk and Asset Allocation

This encyclopedic, self-contained, detailed exposition spans all the steps of one-period allocation from the basics to the most advanced and recent developments. A variety of multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypothes...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Meucci, Attilio (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2005.
Edición:1st ed. 2005.
Colección:Springer Finance Textbooks,
Temas:
Finance.
Operations research.
Social sciences-Mathematics.
Algebras, Linear.
Statistics .
Financial Economics.
Operations Research and Decision Theory.
Mathematics in Business, Economics and Finance.
Linear Algebra.
Statistical Theory and Methods.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • The statistics of asset allocation
  • Univariate statistics
  • Multivariate statistics
  • Modeling the market
  • Classical asset allocation
  • Estimating the distribution of the market invariants
  • Evaluating allocations
  • Optimizing allocations
  • Accounting for estimation risk
  • Estimating the distribution of the market invariants
  • Evaluating allocations
  • Optimizing allocations.

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